HI,
a. Does MS have any documentation on supported Clouds? Does it call out any differences between AWS and Azure for support ability?
As far as I know no, for SCOM it does not matter which cloud you use.
b. If Azure Monitor were to be an alternative or a future platform to use, does this provide an advantage over building new in AWS?
Both have good solutions, I suggest you search for a comparison between Amazon's AWS Cloud Watch and Azure Monitor.
c. Are there any advantages when it comes to connectivity or Proximity: i.e. we are monitoring SQL PaaS with SCOM and proximity provides an advantage
It really depends where your workloads are physically located and the network bandwidth between your servers/regions.
d. Have the DBA's detailed any improvements managing SQL instances in Azure versus AWS? Would it be possible to leverage a SQL MI (managed instance) DB or DW?
Better ask this in the dedicated Azure SQL Database forum.
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Best regards,
Leon